Once In A Lifetime (The Best Of) is a good place to start. There's an actual Best Of which has an entirely different cover but the mixes are not the best ones. I actually reckon it's woeful compared to most other versions.
Just get Remain In Light. Trust me. It's the only album you'll ever need. It's probably my favorite album after Achtung Baby. It's perfect, and miles ahead of any other Talking Heads album, even though they are all really fantastic. Get that, then get the Stop Making Sense DVD. The DVD is probably the single best concert video ever created. It's directed by Johnathan Demme, and is just...well....just get it. you won't be disappointed.
I agree about Sand In the Vaseline. It's a good starting place. You can find the songs you like best, then get those albums next. My town never ever gets any good concerts, but David Byrne is coming in a few weeks